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Long-run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques, specifically a version of the tests of Robinson (1994a) which allows for unit (or fractional) roots both at the zero (long-run) and at the cyclical frequencies. We...

Persistent link: https://www.econbiz.de/10010293737

Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan; … - 1998

Wir verwenden eine neue, auf der Burr-Verteilung basierende Spezifikation aus der Familie der Autoregressive Conditional Duration (ACD) Modelle zur ökonometrischen Analyse der Transaktionsintensitäten während der Börseneinführung (IPO) der Deutsche Telekom Aktie. In diesem Fallbeispiel wird...

Persistent link: https://www.econbiz.de/10010316257

Investigation of the Greek stock exchange volatility and the impact of foreign markets from 2007 to 2012

Sariannidis, Nikolaos; Papadopoulou, Polyxeni; … - In: International Journal of Business and Economic Sciences … 8 (2015) 2, pp. 55-68

volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the … seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is …-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the …

Persistent link: https://www.econbiz.de/10011516729

How does European integration affect the European stock markets?

Erdogan, Burcu - 2009

This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...

Persistent link: https://www.econbiz.de/10010291779

How does European Integration affect the European Stock Markets?

Erdogan, Burcu - 2009

Persistent link: https://www.econbiz.de/10010300155

Long run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007

This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...

Persistent link: https://www.econbiz.de/10010264167

Political news and stock market reactions: Evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International Journal of Management and Economics 55 (2019) 2, pp. 83-98

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

Persistent link: https://www.econbiz.de/10015192170

International Stock Return Predictability Under Model Uncertainty

Schrimpf, Andreas - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10010298059

A simple model of a speculative housing market

Dieci, Roberto; Westerhoff, Frank - 2009

We develop a simple model of a speculative housing market in which the demand for houses is influenced by expectations about future housing prices. Guided by empirical evidence, agents rely on extrapolative and regressive forecasting rules to form their expectations. The relative importance of...

Persistent link: https://www.econbiz.de/10010300808

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies

Petukhina, Alla A.; Reule, Raphael C. G.; Härdle, … - 2019

study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of …

Persistent link: https://www.econbiz.de/10012433234